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Research of China and American Finanical Market Volatility Spillover Effect under Financial Crisis

Author: WangChao
Tutor: ZhangXiaoZuo
School: Shandong Institute of Economics
Course: Statistics
Keywords: Copula function Financial market correlation Copula-GARCH (1,1)-t model Subprime mortgage crisis
CLC: F832.51;F831.51
Type: Master's thesis
Year: 2011
Downloads: 72
Quote: 0
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Abstract


Since the 20th century , globalization and financial liberalization has become the theme of the development of the world economy . Especially in the recent four decades of rapid economic development process , with the deepening of economic globalization and financial liberalization , financial capital worldwide swift flow , coupled with financial innovation and information technology rapid development the rapid development of information propagation speed , close contact in a relatively short time to spread around the world , to improve the efficiency of the financial markets , resulting in the world's financial markets gradually increasing interaction between market information . Clustering of financial time series between the asymmetry , the non-linear relationship has been able to using traditional statistical methods can not be effectively addressed . This article will the connection function Copula theory introduced into the financial analysis to improve through the the Copula function of the original GARCH , in order to better adapt to the new situation encountered new problems . This paper introduces the concept of copula function , nature and different Copula function family . Copula function parameter estimation method introduced and compared . We use this article interception in Shanghai, Hong Kong and New York stock 1 to 2010 December 31 , 2006 in Shanghai and the United States , Hong Kong stocks Data 's closing price ( the Shanghai Composite Index , the S \u0026 P 500 Index and the Hang Seng Index ) data expand the analysis of the data , compare the correlation of different countries and regions in the subprime mortgage crisis occurred before the stock market in the late . The empirical results show that the economic crisis in the early correlation between Shanghai and Hong Kong as well as the United States , but during the economic crisis , suddenly there is a strong positive correlation between related with the financial crisis, the haze gradually dispersed , they the resistance strength by gradually reduced. The main innovations of this paper are as follows : (1) the first time the subprime mortgage crisis into before , after three stages Copula function to analyze and study different intermittent correlation between the strength of . ( 2 ) First use Copula-GARCH (1,1)-t model to analysis and research on the certificate , the correlation between the Hang Seng and the U.S. S \u0026 P index .

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CLC: > Economic > Fiscal, monetary > Finance, banking > World of finance, banking > Financial market
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